To make the Romesco sauce, preheat oven to 350°. Place almonds and garlic cloves on a sheet pan and toast in oven for 10 minutes. After 10 minutes, remove the almonds, but leave the garlic cloves to continue cooking for 10 more minutes. Remove garlic from oven, and remove skins when cool enough to handle.

Place almonds in the bowl of a food processor. Process almonds until they resemble coarse sand, about 30-45 seconds. Add the garlic, peppers, tomatoes, smoked paprika, salt, and cayenne. Blend until smooth. Once smooth, add the vinegar and olive oil, and blend until well-combined. Serve sauce at room temperature.

To make the shrimp, preheat oven to 500°. With a paper towel, pat shrimp dry.

In bowl, toss shrimp with the olive oil and salt. When oven is hot, place an empty sheet pan in the oven for 2 minutes. Remove the sheet pan and add shrimp in a single layer to the hot sheet pan. Place sheet pan with shrimp into the oven, and cook for 4 minutes. Remove shrimp from oven and chill until cold. Serve with romesco sauce.